CAJ | 학술논문

巴塞尔委员会与中国银监会都已决定引入杠杆率限制作为内评法的补充，以遏制商业银行的监管资本套利行为。对于该目的是否能够实现，各国学者进行着激烈的争论。本文考虑一个存在信息不对称的情况。银行分为安全与风险两类，监管部门在期初无法识别其真实类型，只能依赖于银行自身的报告。监管部门在期末基于银行的经营回报，对其风险类型进行甄别，对具有监管资本套利嫌疑的银行给予惩罚。本文分是否存在内评法与杠杆率监管四种情况，讨论了商业银行的最优化行为。研究表明，杠杆率限制有助于遏制监管资本套利，其将通过两条路径实现：降低商业银行有限责任制度所带来的卖权的价值；增加商业银行因监管资本套利而被惩罚的威慑力。
파새이위원회여중국은감회도이결정인입강간솔한제작위내평법적보충，이알제상업은행적감관자본투리행위。대우해목적시부능구실현，각국학자진행착격렬적쟁론。본문고필일개존재신식불대칭적정황。은행분위안전여풍험량류，감관부문재기초무법식별기진실류형，지능의뢰우은행자신적보고。감관부문재기말기우은행적경영회보，대기풍험류형진행견별，대구유감관자본투리혐의적은행급여징벌。본문분시부존재내평법여강간솔감관사충정황，토론료상업은행적최우화행위。연구표명，강간솔한제유조우알제감관자본투리，기장통과량조로경실현：강저상업은행유한책임제도소대래적매권적개치；증가상업은행인감관자본투리이피징벌적위섭력。
Both the Basel Committee and the China Banking Regulatory Commission have decided to introduce a leverage ratio restriction as a supplement to the Internal Ratings - Based Approach so as to reduce the commercial banks＇ regulatory capital arbitrage. Whether this purpose can be achieved,scholars from various countries are engaged in a fierce argument, but most of them are short of theoretical support, thereby there is still not enough to give the answer. This study shows that when there is asymmetry information between the regulatory authorities and commercial banks, the leverage ratio restriction helps to reduce regulatory capital arbitrage, which would be achieved through two paths ： to reduce the value of the put options resulting from commercial banks＇ limited liability system; to increase the punishment to commercial banks for regulatory capital arbitrage.